How to create an edge between 2 selected edges?
In Edge Mode, select the two edges you want to connect, and W > Subdivide, (or  W S).  

If you're looking for an effect similar to the 3DS  'Pinch' and'Slide' you can get somewhere near by connecting edges as described with one cut, selecting it, and using CtrlShiftR (Offset Edge Slide) for the pinch, and an ordinary GG for the slide, Not quite as flexible, there's an extra edge in the way.. but it's quick.

As always, it's worth checking out the options for these operators in the tool region.